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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2025 | Dec. 31, 2024
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | $ 112,896,632 | $ 109,210,522 |
Remaining Premium |  | 2,481,106 | 2,471,843 |
Remaining Discount |  | (1,279,188) | (1,270,077) |
Amortized Cost |  | 71,500,103 | 72,059,476 |
Unrealized Gains |  | 480,741 | 235,755 |
Unrealized Losses |  | (1,619,480) | (2,538,784) |
Estimated Fair Value | [1] | 70,361,364 | 69,756,447 | [2]
Total residential securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 112,837,617 | 109,136,371 |
Remaining Premium |  | 2,480,962 | 2,471,650 |
Remaining Discount |  | (1,279,188) | (1,270,077) |
Amortized Cost |  | 71,440,944 | 71,985,132 |
Unrealized Gains |  | 480,741 | 235,717 |
Unrealized Losses |  | (1,619,382) | (2,538,680) |
Estimated Fair Value |  | 70,302,303 | 69,682,169 |
Agency |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 98,501,522 | 94,934,189 |
Remaining Premium |  | 2,361,682 | 2,353,540 |
Remaining Discount |  | (1,199,184) | (1,190,316) |
Amortized Cost |  | 69,508,003 | 69,785,171 |
Unrealized Gains |  | 416,506 | 155,445 |
Unrealized Losses |  | (1,594,789) | (2,506,548) |
Estimated Fair Value |  | 68,329,720 | 67,434,068 |
Agency | Fixed-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 64,549,014 | 65,010,762 |
Remaining Premium |  | 1,258,704 | 1,329,117 |
Remaining Discount |  | (1,191,086) | (1,178,444) |
Amortized Cost |  | 64,616,632 | 65,161,435 |
Unrealized Gains |  | 356,094 | 130,742 |
Unrealized Losses |  | (1,418,833) | (2,242,503) |
Estimated Fair Value |  | 63,553,893 | 63,049,674 |
Agency | Adjustable-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 137,157 | 157,123 |
Remaining Premium |  | 8,972 | 11,936 |
Remaining Discount |  | (40) | (42) |
Amortized Cost |  | 146,089 | 169,017 |
Unrealized Gains |  | 1,949 | 2,216 |
Unrealized Losses |  | (6,641) | (8,995) |
Estimated Fair Value |  | 141,397 | 162,238 |
Agency | CMO |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 85,886 | 87,467 |
Remaining Premium |  | 1,418 | 1,459 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 87,304 | 88,926 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (13,496) | (15,242) |
Estimated Fair Value |  | 73,808 | 73,684 |
Agency | Interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 3,757,295 | 3,437,570 |
Remaining Premium |  | 545,553 | 493,803 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 545,553 | 493,803 |
Unrealized Gains |  | 29,256 | 14,843 |
Unrealized Losses |  | (105,328) | (127,914) |
Estimated Fair Value |  | 469,481 | 380,732 |
Agency | Multifamily |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 29,947,936 | 26,216,351 |
Remaining Premium |  | 544,756 | 514,726 |
Remaining Discount |  | (8,058) | (11,830) |
Amortized Cost |  | 4,085,912 | 3,844,575 |
Unrealized Gains |  | 29,207 | 7,644 |
Unrealized Losses |  | (49,245) | (110,454) |
Estimated Fair Value |  | 4,065,874 | 3,741,765 |
Agency | Reverse mortgages |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 24,234 | 24,916 |
Remaining Premium |  | 2,279 | 2,499 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 26,513 | 27,415 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (1,246) | (1,440) |
Estimated Fair Value |  | 25,267 | 25,975 |
Agency | Multifamily interest-only security |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 26,400,000 | 22,900,000 |
Residential credit |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 14,336,095 | 14,202,182 |
Remaining Premium |  | 119,280 | 118,110 |
Remaining Discount |  | (80,004) | (79,761) |
Amortized Cost |  | 1,932,941 | 2,199,961 |
Unrealized Gains |  | 64,235 | 80,272 |
Unrealized Losses |  | (24,593) | (32,132) |
Estimated Fair Value |  | 1,972,583 | 2,248,101 |
Residential credit | Credit risk transfer |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 492,296 | 707,169 |
Remaining Premium |  | 1,493 | 1,608 |
Remaining Discount |  | (3,385) | (3,581) |
Amortized Cost |  | 490,404 | 705,196 |
Unrealized Gains |  | 30,751 | 49,819 |
Unrealized Losses |  | (96) | (100) |
Estimated Fair Value |  | 521,059 | 754,915 |
Residential credit | Alt-A |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 204,309 | 172,368 |
Remaining Premium |  | 34 | 35 |
Remaining Discount |  | (2,062) | (1,724) |
Amortized Cost |  | 202,281 | 170,679 |
Unrealized Gains |  | 2,969 | 2,694 |
Unrealized Losses |  | (7,696) | (8,481) |
Estimated Fair Value |  | 197,554 | 164,892 |
Residential credit | Prime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,867,436 | 1,824,609 |
Remaining Premium |  | 28,175 | 27,484 |
Remaining Discount |  | (10,084) | (10,228) |
Amortized Cost |  | 44,362 | 43,725 |
Unrealized Gains |  | 3,035 | 2,732 |
Unrealized Losses |  | (700) | (667) |
Estimated Fair Value |  | 46,697 | 45,790 |
Residential credit | Subprime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 247,047 | 280,820 |
Remaining Premium |  | 12 | 12 |
Remaining Discount |  | (29,638) | (30,081) |
Amortized Cost |  | 217,421 | 250,751 |
Unrealized Gains |  | 7,488 | 6,325 |
Unrealized Losses |  | (8,207) | (11,493) |
Estimated Fair Value |  | 216,702 | 245,583 |
Residential credit | NPL/RPL |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 832,022 | 882,547 |
Remaining Premium |  | 4,304 | 4,540 |
Remaining Discount |  | (4,691) | (3,762) |
Amortized Cost |  | 831,635 | 883,325 |
Unrealized Gains |  | 2,266 | 1,630 |
Unrealized Losses |  | (3,626) | (6,347) |
Estimated Fair Value |  | 830,275 | 878,608 |
Residential credit | Prime jumbo (>=2010 vintage) |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 10,692,985 | 10,334,669 |
Remaining Premium |  | 85,262 | 84,431 |
Remaining Discount |  | (30,144) | (30,385) |
Amortized Cost |  | 146,838 | 146,285 |
Unrealized Gains |  | 17,726 | 17,072 |
Unrealized Losses |  | (4,268) | (5,044) |
Estimated Fair Value |  | 160,296 | 158,313 |
Residential credit | Prime interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,800,000 | 1,800,000 |
Residential credit | Prime jumbo interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 10,600,000 | 10,200,000 |
Commercial Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 59,015 | 74,151 |
Remaining Premium |  | 144 | 193 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 59,159 | 74,344 |
Unrealized Gains |  | 0 | 38 |
Unrealized Losses |  | (98) | (104) |
Estimated Fair Value |  | $ 59,061 | $ 74,278 |
[1] | (3)Excludes $2.3 billion and $2.2 billion at March 31, 2025 and December 31, 2024, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2] | (1)Derived from the audited consolidated financial statements at December 31, 2024.

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